The Wall Street Journal says the agencies "are examining whether Mr. Mickelson and Mr. Walters traded illicitly on nonpublic information from Mr. Icahn about his investments in public companies, people briefed on the probe said."

Specifically, The New York Times says federal authorities are "focusing on trading in two different stocks. The authorities are also questioning what role, if any, the [Icahn] may have had in sharing information about one of the stocks: the consumer products company Clorox."

Update at 11:22 a.m. ET. on May 31; 'Nothing Wrong':

Through his spokesperson, Mickelson issued the following statement:

"I have done absolutely nothing wrong. I have cooperated with the government in this investigation and will continue to do so. I wish I could fully discuss this matter, but under the current circumstances it's just not possible."

Updated 10:56 p.m. ET. Icahn Responds:

Icahn told Reuters that he was unaware of any investigation, and that he never divulged insider information during his half-century as a trader.

"We do not know of an investigation," Icahn said in a phone interview with the news agency. "Further, we are always very careful to observe all legal requirements in all of our activities. We believe that making inflammatory and speculative statements, especially when we've had an unblemished record for 50 years, is clearly irresponsible."

Our Original Post Continues:

The Journal says:

"Investigators are examining whether over the past three years Mr. Icahn tipped Mr. Walters—famous in Las Vegas for his sports-betting acumen—about potentially market-moving investments by Mr. Icahn's company.

"The FBI and SEC are examining whether Mr. Walters on at least one occasion passed a tip on to Mr. Mickelson, these people said, and are studying the two men's trading patterns.

"'We do not know of any investigation,' Mr. Icahn said on Friday. 'We are always very careful to observe all legal requirements in all of our activities.' The suggestion that he was involved in improper trading, he said, was 'inflammatory and speculative.'

"'Phil is not the target of any investigation. Period,' said a lawyer for Mr. Mickelson, Glenn Cohen, on Friday, adding that an FBI agent had told him Mr. Mickelson wasn't a target. The FBI declined to comment on Mr. Cohen's statement."

The Times reports:

"Seeking additional leads in the investigation, which has dragged on for two years without yielding definitive evidence of insider trading, the S.E.C. sent Mr. Icahn a request for documents about his dealings in Clorox, people briefed on the matter said. Authorities are also examining phone records to see whether Mr. Walters spoke to Mr. Icahn, whose bid for Clorox ultimately failed, shortly before the trades.

"Mr. Mickelson, Mr. Walters and Mr. Icahn have not been accused of any wrongdoing. Mr. Icahn, even if he did leak secret information about his firm's intentions with Clorox, may have done so legally. It would be illegal if he breached a duty of confidentiality to his own investors."